Showing 1 - 9 of 9
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient … utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific … properties of the utility functional under consideration. -- monetary utility functionals ; optimal stopping ; duality ; policy …
Persistent link: https://www.econbiz.de/10003905569
We consider a vertically related market characterized by downstream imperfect competition and by the monopolistic provision of an essential facility-based input, whose price is set by a social-welfare maximizing regulator. Our model shows that the regulatory knowledge about the cost for...
Persistent link: https://www.econbiz.de/10003962960
; constrained utility maximization ; correspondences ; risk measures. …
Persistent link: https://www.econbiz.de/10009229672
We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in … terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a … incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the …
Persistent link: https://www.econbiz.de/10003375787
Persistent link: https://www.econbiz.de/10003633778
We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and … investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk … factor process: Our main results give conditions on the minimal penalty function of the robust utility functional under which …
Persistent link: https://www.econbiz.de/10003633826
The utility maximisation problem is considered for investors with anticipative additional information. We distinguish … utility are determined with the help of f-divergences. We assume that our measures are absolutely continuous with respect to a … local martingale measure (LMM), but not necessarily equivalent. Thus we do not exclude arbitrage. -- utility maximisation …
Persistent link: https://www.econbiz.de/10003147861
The background for the general mathematical link between utility and information theory investigated in this paper is a … represented by an enlargement of the other agents' filtration. The expected logarithmic utility increment, i.e. the difference of … the insider's and the less informed trader's expected logarithmic utility is described in terms of the information drift …
Persistent link: https://www.econbiz.de/10003148169
This paper poses the following question: Is it possible to improve welfare by increasing taxes and throwing away the revenues? This paper demonstrates that the answer to this question is "yes." We show that there may be welfare gains from taxing capital income even when the additional capital...
Persistent link: https://www.econbiz.de/10003376015